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1、MACROQUANTSTRATEGY
2、G10FXnUSDlongpositioningincreasedtoascoreof+23(-/+50scale)from+15lastweekdrivenbytheFXFundPositionTrackercomponentunwindingUSDshorts.nFXinvestorsreducedCADlongpositioningasaresultoftheClientSurveycomponentbuildingshorts.nGBPshortsincreasedt
3、oascoreof-24drivenbytheFXFundPositionTrackercomponentunwindinglongsandbuildingshortpositions.nAUDandNZDshortscontinuetobesqueezed:thepositioningscoresnowstandat-9andChart1:BNPParibasFXPositioningAnalysis–overallpositioning*-16foreachcurrencyrespectively.USDCA
4、DNOKJPYCHFSEKAUDNZDEURGBPSHORTLONG231421-6-9-905-Nov-201829-Oct-2018-16-20-24-50-40-30-20-1001020304050FXPOSITIONINGANALYSIS
5、GLOBAL5November2018Source:BNPParibasClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicator353428314USD-75-38-29-33E
6、UR-1-321728-6JPY-22-26-35-30-9GBP-5-15-2441-29CHF-171327369CAD-6-48-181312AUD-38-5034-4014NZD29-30-47-4NOK-20--4-131SEK*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween-50and+50.Val
7、uesabove40andbelow-40representextremepositions.Tointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.§Clientexposure–Internalsalesdesks’estimateofFXinvestorexposure§IMM–Thecommit
8、mentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity§Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”§FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundposition
9、ing§BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumMichaelSneyd,CFA,HeadofMacroQuantitative&DerivativesStrategy
10、AlexJekov,FXStrategist
11、KrisGjini,CrossAssetStrategist
12、BenedicteLowe,CrossAssetStrategist
13、ShaunDaly,Graduate
14、BNPParibasLon
15、donBranchPleaserefertoimportantinformationattheendofthereportUANTSTRATEGY
16、G10FXMACROQChart2:AbsolutetotalG10positioningOverallabsoluteFXPositioning5yAverage27022017012070Oct-16Apr-17Oct-1
